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Just got myself another.Poochyena in Pokémon emerald, I believe. It wasn't a very impressive Pokémon, I give you that, but it was golden, and it was the first Pokémon I encountered when I first got my pokéballs from May, so it was probably my fourth battle in that game, so it was quite awesome. I lost him (Or maybe her?), as a shiny Mightyena, when my save file was corrupted, if I remeber correctly.
EDIT: Red/Shiny Gyarados in Crystal as well, but as said above, as he's part of the story, he hardly counts.
Gen 2's Shiny Gyarados at the Lake of Rage but since the shiny event was part of the story I don't really count him as the first ever procedurally captured Shiny Pokemon I have.
The first Shiny pokemon I caught was Luvdisc, it had crap-mediocre stats so I just held onto the poor thing. You'd wonder how someone who has played pokemon for an innumerable number of hours has only encountered 1 Shiny pokemon in the wild before.